Federal Reserve - Academic Profile | RDL Research Database

Publications

On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks

Lawrence R. Glosten , Ravi Jagannathan , David E. Runkle

ABSTRACT We find support for a negative relation between conditional expected monthly return and conditional variance of monthly return, using a GARCH‐M model modified by allowi...

1993 The Journal of Finance 8508 citations

Non-Monetary Effects of the Financial Crisis in the Propagation of the Great Depression

Ben Bernanke

This paper examines the effects of the financial crisis of the 1930s on the path of aggregate output during that period.Our approach is complementary to that of Friedman and Sch...

1983 2138 citations

The Expectations Hypothesis, The Yield Curve, and Monetary Policy

John H. Wood

Introduction, 457. — I. Elasticity of expectations and empirical and policy implications of the expectations hypothesis, 459. — II. A simplified elastic expectations model, 462;...

1964 The Quarterly Journal of Economics 34 citations

Institution Info

Type: other
Country: US
Publications: 3
Citations: 10,680

External Links

Identifiers

ROR: https://ror.org/05fk5tr28